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Modeling vector nonlinear time series using POLYMARS

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  • De Gooijer, Jan G.
  • Ray, Bonnie K.

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  • De Gooijer, Jan G. & Ray, Bonnie K., 2003. "Modeling vector nonlinear time series using POLYMARS," Computational Statistics & Data Analysis, Elsevier, vol. 42(1-2), pages 73-90, February.
    • Handle: RePEc:eee:csdana:v:42:y:2003:i:1-2:p:73-90
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    References listed on IDEAS

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    1. Clements, Michael P. & Smith, Jeremy, 1997. "The performance of alternative forecasting methods for SETAR models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 463-475, December.
    2. De Gooijer, Jan G. & De Bruin, Paul T., 1998. "On forecasting SETAR processes," Statistics & Probability Letters, Elsevier, vol. 37(1), pages 7-14, January.
    3. Wolfgang Härdle & Helmut Lütkepohl & Rong Chen, 1997. "A Review of Nonparametric Time Series Analysis," International Statistical Review, International Statistical Institute, vol. 65(1), pages 49-72, April.
    4. Smith, Michael & Kohn, Robert, 2000. "Nonparametric seemingly unrelated regression," Journal of Econometrics, Elsevier, vol. 98(2), pages 257-281, October.
    5. Rong Chen, 1995. "Threshold Variable Selection In Open‐Loop Threshold Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 461-481, September.
    6. Xingcun Xia & H. Z. An, 1999. "Projection Pursuit Autoregression in Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(6), pages 693-714, November.
    7. Cai, Zongwu & Fan, Jianqing & Yao, Qiwei, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
    8. De Gooijer, Jan G. & Ray, Bonnie K. & Krager, Horst, 1998. "Forecasting exchange rates using TSMARS," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 513-534, June.
    9. Härdle, Wolfgang & Tsybakov, A. & Yang, L., 1996. "Nonparametric Vector Autoregression," SFB 373 Discussion Papers 1996,61, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    Cited by:

    1. Hendry, David F. & Martinez, Andrew B., 2017. "Evaluating multi-step system forecasts with relatively few forecast-error observations," International Journal of Forecasting, Elsevier, vol. 33(2), pages 359-372.
    2. Shafik, Nivien & Tutz, Gerhard, 2009. "Boosting nonlinear additive autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 53(7), pages 2453-2464, May.

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